系统管理学报2024，Vol.33Issue(1)：230-239,10.DOI:10.3969/j.issn1005-2542.2024.01.016
基于动态投资的鲁棒契约设计与应用研究
Design of Robust Contracts and Its Application Based on Dynamic Investment
摘要
Abstract
This paper integrates the principal ambiguity aversion into the dynamic investment model to design robust contracts.It utilizes robust decision-making and martingale methods to provide solutions for robust contracts.It then examines the effects of volatility ambiguity of the principal on corporate investment,pricing of corporate securities,Tobin q,equity premium,and credit spreads.It is found that robust contracts generate heterogeneous beliefs between ambiguity averse principals and agents,resulting in principals believing that the cash flow volatility is higher than the true volatility.In particular,when the firm is close to the liquidation limit or when agents'effort costs is low,principals'perceived volatility is relatively higher,leading to a more severe underinvestment.The volatility ambiguity reduces shareholder value,investment ratio under the contract,and average q of the firm.These results are helpful for grasping the internal laws of the impact mechanism of principal compensation contract design,and have a certain reference value for the improvement of corporate governance and the improvement of investment efficiency,while deepening contract theory research.关键词
动态投资/鲁棒契约/股权溢价/信用价差Key words
dynamic investment/robust contracts/equity premium/credit spreads分类
管理科学引用本文复制引用
甘柳,夏鑫..基于动态投资的鲁棒契约设计与应用研究[J].系统管理学报,2024,33(1):230-239,10.基金项目
国家自然科学基金资助项目(72161016,72201277) （72161016,72201277）
